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On the entropy minimal martingale measure in the exponential Ornstein-Uhlenbeck stochastic volatility model

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  • Yuri Kabanov
  • Mikhail A. Sonin

Abstract

We consider a stochastic volatility model where the price evolution depend on the exponential of the Ornstein--Uhlenbeck process. After a brief revision of the related theory the entropy-minimal equivalent martingale measure. is calculated.

Suggested Citation

  • Yuri Kabanov & Mikhail A. Sonin, 2025. "On the entropy minimal martingale measure in the exponential Ornstein-Uhlenbeck stochastic volatility model," Papers 2501.02396, arXiv.org.
    • Handle: RePEc:arx:papers:2501.02396
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    References listed on IDEAS

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    1. Marco Frittelli, 2000. "The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 10(1), pages 39-52, January.
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